Quant Finance (Streaming Services Portfolio)
Acquiring Data
Acquiring data from Yahoo Finance of AAPL, NFLX, ROKU, SPOT, DIS equities
library(plotly)## Loading required package: ggplot2##
## Attaching package: 'plotly'## The following object is masked from 'package:ggplot2':
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## layoutlibrary(ggplot2)
library(quantmod)## Loading required package: xts## Loading required package: zoo##
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## as.Date, as.Date.numeric## Loading required package: TTR## Registered S3 method overwritten by 'quantmod':
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## as.zoo.data.frame zoo## Version 0.4-0 included new data defaults. See ?getSymbols.library(PerformanceAnalytics)##
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## legendlibrary(dplyr)##
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## intersect, setdiff, setequal, union#starting data
dt<-'2018-2-1'
#getting data
aapl_df<-data.frame(getSymbols.yahoo('AAPL', from=dt, auto.assign=F))
nflx_df<-data.frame(getSymbols.yahoo('NFLX', from=dt, auto.assign=F))
roku_df<-data.frame(getSymbols.yahoo('ROKU', from=dt, auto.assign=F))
spot_df<-data.frame(getSymbols.yahoo('SPOT', from=dt, auto.assign=F))
dis_df<-data.frame(getSymbols.yahoo('DIS', from=dt, auto.assign=F))Data Overview
Looking at SPOT equity data as an example
spot_table<-head(spot_df,10)
spot_table## SPOT.Open SPOT.High SPOT.Low SPOT.Close SPOT.Volume SPOT.Adjusted
## 2018-04-03 165.90 169.00 148.260 149.01 30526500 149.01
## 2018-04-04 140.00 148.93 135.510 144.22 11702900 144.22
## 2018-04-05 149.23 152.41 141.250 143.99 7372800 143.99
## 2018-04-06 146.07 148.73 144.670 147.92 4228100 147.92
## 2018-04-09 149.50 151.00 148.590 150.00 2051400 150.00
## 2018-04-10 152.00 156.74 151.133 154.90 2980000 154.90
## 2018-04-11 154.00 154.15 147.500 149.57 1874000 149.57
## 2018-04-12 150.25 151.00 148.650 149.10 1371900 149.10
## 2018-04-13 149.80 150.42 148.050 149.00 1608100 149.00
## 2018-04-16 150.00 150.00 142.740 144.32 1454700 144.32Data Preparation
Manipulating raw equity data for future analysis
data_prep_func<-function(x, y){
#sma
sma10<-SMA(x[6], n=10)
#ema
ema20<-EMA(x[6], n=20)
#BBands
bbands20 <- data.frame(BBands( Cl(x), n=20, sd=2))
bbands20 <- bbands20[,c(1,3)]
#changing colnames
colnames(sma10)<-c(paste0(y,'.SMA'))
colnames(ema20)<-c(paste0(y,'.EMA'))
colnames(bbands20)<-c(paste0(y,'.dn'), paste0(y,'.up'))
#merge/formatting
new_df<-x
new_df<-cbind(new_df, sma10)
new_df<-cbind(new_df, ema20)
new_df<-cbind(new_df, bbands20)
new_df<-cbind(Date=rownames(new_df), new_df)
rownames(new_df)<-1:nrow(new_df)
#volume differentiation calc
for(v in 1:length(new_df[,1])){
if(new_df[v, 5] >= new_df[v, 2]){
new_df[v, 'volumetype']='Increasing'
} else if(abs(new_df[v, 5]-new_df[v,2]) < 0.4){
new_df[v, 'volumetype']='Doji'
} else {
new_df[v, 'volumetype']='Decreasing'
}
}
#return
return(new_df)
}
#running func
aapl_df<-data_prep_func(aapl_df, 'AAPL')
dis_df<-data_prep_func(dis_df, 'DIS')
nflx_df<-data_prep_func(nflx_df, 'NFLX')
roku_df<-data_prep_func(roku_df, 'ROKU')
spot_df<-data_prep_func(spot_df, 'SPOT')Data Visualization
Creating a dynamic plot with Plotly lib
data_viz1_func<-function(df, eq_name){
#starting data
dt<-'2018-2-1'
#today's date
today_date<-Sys.Date()
#plot
candle_fig <- plot_ly(x = df[[1]], type="candlestick",
open = df[[2]], close = df[[5]],
high = df[[3]], low = df[[4]], name=eq_name,
width=900, height=800)
candle_fig <- candle_fig %>% add_lines(x = df[[1]], y = df[[8]],
line = list(color = 'rgb(255, 153, 102)',
width = 0.8),
name='SMA-10', inherit = F)
candle_fig <- candle_fig %>% add_lines(x = df[[1]], y = df[[9]],
line = list(color='blue',
width=0.8),
name='EMA-20', inherit = F)
candle_fig <- candle_fig %>% add_lines(x = df[[1]], y = df[[10]],
line = list(color='#dad3e0',
width=0.8,
opacity=0.6),
name='BBands.dn', inherit = F)
candle_fig <- candle_fig %>% add_lines(x = df[[1]], y = df[[11]],
line = list(color='#dad3e0',
width=0.8,
opacity=0.6),
name='BBAnds.up', inherit = F)
volume_fig <- aapl_df %>% plot_ly(x= df[[1]], y= df[[6]],
type='bar', name = df[[12]],
color= df[[12]],
colors=c('#ff9999',
'#ffff99',
'#99ffb3')
)
#layout
volume_fig <- volume_fig %>% layout(yaxis=list(title='Volume',
titlefont=list(size=15)))
final_fig <- subplot(candle_fig, volume_fig, heights = c(0.7,0.2), nrows=2,
shareX = TRUE, titleY = TRUE)
final_fig <- final_fig %>% layout(
title=list(text=paste0(eq_name,': ',dt,' - ',as.character(today_date)),
font=list(size=22), y = 0.97),
xaxis=list(type='date', tickformat = "%d %B <br>%Y",
title=FALSE, tickfont=list(size=14)),
yaxis=list(title="Price", titlefont=list(size=16),
tickfont=list(size=14)),
legend=list(orientation = 'h', x = 0.5, y = 0.93,
xanchor = 'center', font = list(size=12),
bgcolor = 'transparent')
)
#show
final_fig
}Apple (AAPL) Graph
data_viz1_func(aapl_df, 'AAPL')## Warning: `arrange_()` is deprecated as of dplyr 0.7.0.
## Please use `arrange()` instead.
## See vignette('programming') for more help
## This warning is displayed once every 8 hours.
## Call `lifecycle::last_warnings()` to see where this warning was generated.data_viz1_func(dis_df, 'DIS')data_viz1_func(nflx_df, 'NFLX')data_viz1_func(roku_df, 'ROKU')data_viz1_func(spot_df, 'SPOT')Performance of selected equities independently
#'AAPL', 'DIS', 'NFLX', 'ROKU', 'SPOT'
aapl_dret<-na.omit(dailyReturn(Ad(getSymbols.yahoo('AAPL',
from=dt,
periodicity='daily',
auto.assign=F)), type='arithmetic'))
dis_dret<-na.omit(dailyReturn(Ad(getSymbols.yahoo('DIS',
from=dt,
periodicity='daily',
auto.assign=F)), type='arithmetic'))
nflx_dret<-na.omit(dailyReturn(Ad(getSymbols.yahoo('NFLX',
from=dt,
periodicity='daily',
auto.assign=F)), type='arithmetic'))
roku_dret<-na.omit(dailyReturn(Ad(getSymbols.yahoo('ROKU',
from=dt,
periodicity='daily',
auto.assign=F)), type='arithmetic'))
spot_dret<-na.omit(dailyReturn(Ad(getSymbols.yahoo('SPOT',
from=dt,
periodicity='daily',
auto.assign=F)), type='arithmetic'))
#renaming cols
colnames(aapl_dret)<-'AAPL.Ad.Returns'
colnames(dis_dret)<-'DIS.Ad.Returns'
colnames(nflx_dret)<-'NFLX.Ad.Returns'
colnames(roku_dret)<-'ROKU.Ad.Returns'
colnames(spot_dret)<-'SPOT.Ad.Returns'
#merging
dret_data<-cbind(aapl_dret,dis_dret,
nflx_dret,roku_dret,spot_dret)
table.AnnualizedReturns(dret_data, scale=252, Rf=0.015/252)## AAPL.Ad.Returns DIS.Ad.Returns NFLX.Ad.Returns
## Annualized Return 0.4841 0.0578 0.3023
## Annualized Std Dev 0.3561 0.3229 0.4292
## Annualized Sharpe (Rf=1.5%) 1.2977 0.1301 0.6590
## ROKU.Ad.Returns SPOT.Ad.Returns
## Annualized Return 0.8983 0.2272
## Annualized Std Dev 0.7555 0.4368
## Annualized Sharpe (Rf=1.5%) 1.1517 0.4783#plotting performance
charts.PerformanceSummary(dret_data, main='Portfolio Performance',
Rf=0.015/252, plot.engine='default')
Equally weighted portfolio case study and analysis
#eq weighted portfolio
portret_df<-Return.portfolio(dret_data,
weights=c(.20,.20,.20,.20,.20))## Warning in Return.portfolio(dret_data, weights = c(0.2, 0.2, 0.2, 0.2, 0.2)):
## NA's detected: filling NA's with zeroscolnames(portret_df)<-'Porfolio.Eqw.Returns'
#performance benchmark
benchmarkPrices<-na.omit(dailyReturn(Ad(getSymbols.yahoo('^GSPC',
from=dt,
periodicity='daily',
auto.assign=F)),
type='arithmetic'))
colnames(benchmarkPrices)<-'Benchmark.SP500.Returns'
#merging portfolio and benchmark together
EqWPort.Benchmark_df<-merge(portret_df, benchmarkPrices)
#performance table
table.AnnualizedReturns(EqWPort.Benchmark_df, scale=252, Rf=0.015/252)## Porfolio.Eqw.Returns Benchmark.SP500.Returns
## Annualized Return 0.4417 0.0807
## Annualized Std Dev 0.3698 0.2415
## Annualized Sharpe (Rf=1.5%) 1.1364 0.2675EqWPort.Benchmark_df<-data.frame(EqWPort.Benchmark_df)
EqWPort.Benchmark_df<-cbind(Date=rownames(EqWPort.Benchmark_df),
EqWPort.Benchmark_df)
rownames(EqWPort.Benchmark_df)<-1:nrow(EqWPort.Benchmark_df)
perf_fig<-EqWPort.Benchmark_df %>% plot_ly(x= ~Date,
y=~Porfolio.Eqw.Returns,
type='scatter',
mode='lines',
line = list(color='green',
width=0.8),
name='Portfolio', inherit = F,
width=900, height=600)## Warning in plot_ly(., x = ~Date, y = ~Porfolio.Eqw.Returns, type = "scatter", :
## The inherit argument has been deprecated.perf_fig<-perf_fig %>% add_lines(x = ~Date,
y = ~Benchmark.SP500.Returns,
line = list(color='blue',
width=0.8),
name='S&P500', inherit = F)
#starting data
dt<-'2018-2-1'
#today's date
today_date<-Sys.Date()
#layout
perf_fig<- perf_fig %>% layout(
title=list(text=paste0('Portfolio - S&P500',': ',dt,' - ',as.character(today_date)),
font=list(size=22), y = 0.97),
xaxis=list(type='date', tickformat = "%d %B <br>%Y",
title=FALSE, tickfont=list(size=14)),
yaxis=list(title="Returns", titlefont=list(size=16),
tickfont=list(size=14))
)
perf_fig